The first time you import hands into Prospector you have the option of having the program search the most likely places on your computer. If you have not changed the default location where the poker clients are saving your hands, Prospector should be able to find them for you. Just click Auto Search. You should then make sure that the correct directories have been selected and click Rescan Now.

The next time Prospector loads, the file locations will already be entered, so if you have played more hands, you can scan again to load them in. Selecting remove on the right hand side will remove the selected entry from the saved imports section.

By setting the Scan Every option Prospector will automatically rescan all the files in the saved import list. This way, you can leave Prospector running while you're playing poker in another window. When Prospector performs the import in the background, you will see a progress bar in the status bar at the bottom of the window.

Checking off "Skip files which have not changed" can make importing faster since prospector will not look for new hands in files that have not been modified since the last import.

When you start playing at a new site you can select "Choose specific site" from the first pop-up menu. This will bring up a list of the supported sites. Note that they are organized by network so for example you'll find "Doyle's Room" under the Tribeca network. Now when you click Import Folder, you will be taken to the most likely place your hands will be saved.
Alternatively, if you already know where the files are, or if Prospector did not find them for you you can import them manually. Leave "Automatic" selected and click "Import File" or "Import Folder" and Prospector will determine the correct site format by looking at its contents.